Artikel ini menjelaskan secara rinci strategi perdagangan kuantitatif multi-indikator yang dirancang untuk cryptocurrency.
I. Logika Strategi
Kategori indikator utama yang digunakan adalah:
Osilator ROC untuk mengukur tingkat overbought/oversold.
Saluran Donchian untuk dukungan dan perlawanan dinamis.
Beruang Power mengidentifikasi karakteristik bawah.
Keseimbangan kekuatan untuk penilaian tren.
Rata-rata bergerak untuk penyaringan tren.
Target keuntungan dan stop loss juga ditetapkan untuk mengendalikan risiko perdagangan tunggal.
II. Keuntungan dari Strategi
Keuntungan terbesarnya adalah komplementaritas indikator, dinilai dari berbagai dimensi.
Keuntungan lain adalah stop loss langsung dan masuk akal dan mengambil keuntungan untuk manajemen uang yang bijaksana.
Akhirnya, ruang parameter yang luas memungkinkan penyetelan halus untuk cryptocurrency.
III. Potensi Risiko
Namun, ada beberapa risiko:
Pertama, kombinasi multi-indikator meningkatkan kesulitan pengoptimalan.
Kedua, perbedaan antara indikator membutuhkan aturan logika yang jelas.
Akhirnya, parameter perlu dioptimalkan untuk produk tertentu.
IV. Ringkasan
Singkatnya, artikel ini telah menjelaskan strategi kuantitatif multi-indikator yang disesuaikan untuk cryptocurrency. Ini secara cerdas menggabungkan indikator untuk manajemen risiko dan uang. Melalui optimasi parameter dapat mencapai keuntungan yang stabil tetapi perlu mengelola kesulitan optimasi dan penggunaan indikator.
/*backtest
start: 2023-09-07 00:00:00
end: 2023-09-14 00:00:00
period: 4m
basePeriod: 1m
exchanges: [{"eid":"Futures_Binance","currency":"BTC_USDT"}]
*/
// This source code is subject to the terms of the Mozilla Public License 2.0 at https://mozilla.org/MPL/2.0/
// © mbagheri746
//@version=4
strategy("Bagheri IG Ether", overlay=true, margin_long=100, margin_short=100)
TP = input(3000, minval = 1 , title ="Take Profit")
SL = input(3443, minval = 1 , title ="Stop Loss")
//_________________ RoC Definition _________________
rocLength = input(title="ROC Length", type=input.integer, minval=1, defval=185)
smoothingLength = input(title="Smoothing Length", type=input.integer, minval=1, defval=49)
src = input(title="Source", type=input.source, defval=close)
ma = ema(src, smoothingLength)
mom = change(ma, rocLength)
sroc = nz(ma[rocLength]) == 0
? 100
: mom == 0
? 0
: 100 * mom / ma[rocLength]
//srocColor = sroc >= 0 ? #0ebb23 : color.red
//plot(sroc, title="SROC", linewidth=2, color=srocColor, transp=0)
//hline(0, title="Zero Level", linestyle=hline.style_dotted, color=#989898)
//_________________ Donchian Channel _________________
length1 = input(43, minval=1, title="Upper Channel")
length2 = input(43, minval=1, title="Lower Channel")
offset_bar = input(90,minval=0, title ="Offset Bars")
upper = highest(length1)
lower = lowest(length2)
basis = avg(upper, lower)
DC_UP_Band = upper[offset_bar]
DC_LW_Band = lower[offset_bar]
l = plot(DC_LW_Band, style=plot.style_line, linewidth=2, color=color.red)
u = plot(DC_UP_Band, style=plot.style_line, linewidth=2, color=color.aqua)
fill(l,u,color = color.new(color.aqua,transp = 90))
//_________________ Bears Power _________________
wmaBP_period = input(61,minval=1,title="BearsP WMA Period")
line_wma = ema(close, wmaBP_period)
BP = low - line_wma
//_________________ Balance of Power _________________
ES_BoP=input(15, title="BoP Exponential Smoothing")
BOP=(close - open) / (high - low)
SBOP = rma(BOP, ES_BoP)
//_________________ Alligator _________________
//_________________ CCI _________________
//_________________ Moving Average _________________
sma_period = input(74, minval = 1 , title = "SMA Period")
sma_shift = input(37, minval = 1 , title = "SMA Shift")
sma_primary = sma(close,sma_period)
SMA_sh = sma_primary[sma_shift]
plot(SMA_sh, style=plot.style_line, linewidth=2, color=color.yellow)
//_________________ Long Entry Conditions _________________//
MA_Lcnd = SMA_sh > low and SMA_sh < high
ROC_Lcnd = sroc < 0
DC_Lcnd = open < DC_LW_Band
BP_Lcnd = BP[1] < BP[0] and BP[1] < BP[2]
BOP_Lcnd = SBOP[1] < SBOP[0]
//_________________ Short Entry Conditions _________________//
MA_Scnd = SMA_sh > low and SMA_sh < high
ROC_Scnd = sroc > 0
DC_Scnd = open > DC_UP_Band
BP_Scnd = BP[1] > BP[0] and BP[1] > BP[2]
BOP_Scnd = SBOP[1] > SBOP[0]
//_________________ OPEN POSITION __________________//
strategy.entry(id = "BUY", long = true , when = MA_Lcnd and ROC_Lcnd and DC_Lcnd and BP_Lcnd and BOP_Lcnd)
strategy.entry(id = "SELL", long = false , when = MA_Scnd and ROC_Scnd and DC_Scnd and BP_Scnd and BOP_Scnd)
//_________________ CLOSE POSITION __________________//
strategy.exit(id = "CLOSE BUY", from_entry = "BUY", profit = TP , loss = SL)
strategy.exit(id = "CLOSE SELL", from_entry = "SELL" , profit = TP , loss = SL)
//_________________ TP and SL Plot __________________//
currentPL= strategy.openprofit
pos_price = strategy.position_avg_price
open_pos = strategy.position_size
TP_line = (strategy.position_size > 0) ? (pos_price + TP/100) : strategy.position_size < 0 ? (pos_price - TP/100) : 0.0
SL_line = (strategy.position_size > 0) ? (pos_price - SL/100) : strategy.position_size < 0 ? (pos_price + SL/100) : 0.0
// hline(TP_line, title = "Take Profit", color = color.green , linestyle = hline.style_dotted, editable = false)
// hline(SL_line, title = "Stop Loss", color = color.red , linestyle = hline.style_dotted, editable = false)
Tline = plot(TP_line != 0.0 ? TP_line : na , title="Take Profit", color=color.green, trackprice = true, show_last = 1)
Sline = plot(SL_line != 0.0 ? SL_line : na, title="Stop Loss", color=color.red, trackprice = true, show_last = 1)
Pline = plot(pos_price != 0.0 ? pos_price : na, title="Stop Loss", color=color.gray, trackprice = true, show_last = 1)
fill(Tline , Pline, color = color.new(color.green,transp = 90))
fill(Sline , Pline, color = color.new(color.red,transp = 90))
//_________________ Label __________________//
inMyPrice = input(title="My Price", type=input.float, defval=0)
inLabelStyle = input(title="Label Style", options=["Upper Right", "Lower Right"], defval="Lower Right")
posColor = color.new(color.green, 25)
negColor = color.new(color.red, 25)
dftColor = color.new(color.aqua, 25)
posPnL = (strategy.position_size != 0) ? (close * 100 / strategy.position_avg_price - 100) : 0.0
posDir = (strategy.position_size > 0) ? "long" : strategy.position_size < 0 ? "short" : "flat"
posCol = (posPnL > 0) ? posColor : (posPnL < 0) ? negColor : dftColor
myPnL = (inMyPrice != 0) ? (close * 100 / inMyPrice - 100) : 0.0
var label lb = na
label.delete(lb)
lb := label.new(bar_index, close,
color=posCol,
style=inLabelStyle=="Lower Right"?label.style_label_upper_left:label.style_label_lower_left,
text=
"╔═══════╗" +"\n" +
"Pos: " +posDir +"\n" +
"Pos Price: "+tostring(strategy.position_avg_price) +"\n" +
"Pos PnL: " +tostring(posPnL, "0.00") + "%" +"\n" +
"My Price: " +tostring(inMyPrice) +"\n" +
"My PnL: " +tostring(myPnL, "0.00") + "%" +"\n" +
"╚═══════╝")